Forecasting the Value-at-Risk of REITs using realized volatility jump models
Year of publication: |
2021
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Authors: | Odusami, Babatunde Olatunji |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 58.2021, p. 1-17
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Subject: | Bipower variation | Jumps | Real estate | REITs | Value-at-Risk | Immobilienfonds | Real estate fund | ARCH-Modell | ARCH model | Volatilität | Volatility | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model |
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